Executive Summary
Strategy Overview
Strategy: Trend Following Strategy (Test Mode - 20 Tickers)
Period: 2014-12-31 to 2025-07-21
Total Trades: 43890
Strategy Performance
Total Return
122.70%
Annualized Return
8.58%
Volatility
8.86%
Sharpe Ratio
0.75
Max Drawdown
-12.99%
Strategy Risk Profile
Beta vs Benchmark
0.4282
Alpha vs Benchmark
2.06%
VaR (95%)
-0.87%
Win Rate (Daily)
49.7%
Key Insights
- Moderate risk-adjusted returns with positive Sharpe ratio
- Reasonable drawdown control with maximum drawdown under 20%
- Low win rate suggesting need for signal improvement
- Positive alpha with some skill-based returns
Strategy Overview
Strategy Characteristics
Strategy Type: Statistical Arbitrage
Asset Class: Equities
Trading Universe: S&P 500
Signal Frequency: High Frequency (1000+ trades/year)
Holding Period: Short-term (<5 days)
Leverage: No leverage (100% cash)
Backtest Parameters
Start Date: 2014-12-31
End Date: 2025-07-21
Total Days: 3855
Initial Capital: $100,000
Data Source: Yahoo Finance
Execution Assumptions
Slippage: N/A (Not implemented)
Commission: N/A (Not implemented)
Liquidity Filters: N/A (Not implemented)
Execution Quality: N/A (Not implemented)
Strategy Description
This statistical arbitrage strategy operates in the equities market with a focus on S&P 500. The strategy employs high frequency (1000+ trades/year) signals with short-term (<5 days) holding periods, designed to capture market inefficiencies through systematic analysis of price patterns and market dynamics.
The backtest covers a 3855-day period from 2014-12-31 to 2025-07-21, starting with $100,000 in initial capital. The strategy would have led to a final value of $221,291, representing a 121.3% return over the 3855-day backtest period. Execution costs and implementation details are not yet implemented in this backtest framework.
Key Performance Metrics - Strategy vs Benchmark
Strategy Performance
| Metric | Strategy | Benchmark (S&P 500) |
|---|---|---|
| Cumulative Return | 122.70% | 216.21% |
| Annualized Return | 8.58% | 12.56% |
| Alpha | 2.06% | 0.00% |
| Sharpe Ratio | 0.75 | 0.70 |
| Sortino Ratio | 0.95 | 0.86 |
| Calmar Ratio | 0.51 | 0.39 |
| Beta | 0.4282 | 1.00 |
Strategy Risk Profile
| Metric | Strategy | Benchmark (S&P 500) |
|---|---|---|
| Volatility (Ann.) | 8.86% | 15.97% |
| Max Drawdown | -12.99% | -32.24% |
| Value-at-Risk (95%) | -0.87% | -1.62% |
| Value-at-Risk (99%) | -1.76% | -3.06% |
| Tail Risk | -1.40% | -2.48% |
| Win Rate (Daily) | 49.7% | 56.9% |
| Turnover | 8.54 | N/A |
Period Performance - Strategy vs Benchmark
Note: All returns below are annualized (projected annual rate). For actual cumulative returns, see the Performance Chart above.
| Period | Return (Annualized) | Volatility (Annualized) | ||
|---|---|---|---|---|
| Strategy | Benchmark | Strategy | Benchmark | |
| MTD | 25.07% | 50.78% | 5.30% | 6.99% |
| YTD | 0.04% | 12.65% | 7.40% | 23.62% |
| 1Y | 3.24% | 12.53% | 8.13% | 19.70% |
| 3Y | 6.02% | 17.58% | 8.14% | 16.66% |
| 5Y | 9.33% | 14.39% | 9.43% | 16.55% |
| All Time | 8.55% | 12.52% | 8.86% | 15.97% |
Performance Charts
Cumulative Performance (Base 100) - Strategy vs Benchmark
Performance Overview
Cumulative Drawdown from Peak
Note: Shows drawdown from the highest point reached. Negative values indicate decline from peak.
Returns Distribution
Note: Distribution of daily returns. Helps identify return patterns and outliers.
Risk & Volatility Analysis
Rolling Sharpe Ratio (60-Day Window)
Note: 60-day rolling window, annualized. Window adjusts for shorter datasets.
Rolling Beta (60-Day Window)
Note: 60-day rolling window. Shows how strategy's sensitivity to benchmark changes over time.
Correlation & Exposure Analysis
Strategy vs Benchmark Returns Scatter
Beta Calculation: β = Cov(Strategy Returns, Benchmark Returns) / Var(Benchmark Returns)
Portfolio Exposure Over Time
Note: Shows portfolio exposure and allocation changes over time.
Advanced Risk Metrics
Value-at-Risk Over Time
Calculation Method: 30-day rolling window historical VaR (5th percentile). The step-like appearance occurs because VaR changes only when the worst return in the rolling window changes. Note: Shows potential loss estimates at 95% confidence level.
Trade/Signal Summary
Signal Analysis
| Metric | Value |
|---|---|
| Daily Signal Hit Rate | 55.9% |
| Signals per Month | 22.3 |
| Position Balance | 1.00 |
| Convergence Ratio | 0.0% |
| Daily Turnover | 0.034 |
Daily Signal Hit Rate: Percentage of days with active signals that generated positive returns.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Convergence Ratio: Percentage of days when VIX and SPX signals were opposite (volatility spread strategy pattern).
Daily Turnover: Average daily change in position sizes.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Convergence Ratio: Percentage of days when VIX and SPX signals were opposite (volatility spread strategy pattern).
Daily Turnover: Average daily change in position sizes.
Trade Execution
| Metric | Value |
|---|---|
| Total Trades Executed | 43890 |
| Win Rate | 49.7% |
| Avg PnL per Trade | 0.0000 (≈$3) |
| Annualized Turnover | 8.5 |
Win Rate: Percentage of profitable trades (different from signal hit rate).
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Data Source: Actual Signals
Notes & Metadata
- Code Version: v2.0.0
- Backtest Parameters:
- Lookback: 200 days
- Universe: 503 assets
- Slippage: N/A (Not implemented)
- Costs: N/A (Not implemented)
- Report Generation Date: 2025-07-23
- Environment: Backtest
Additional Notes
This report was generated using historical data and backtest results.